Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0861
Annualized Std Dev 0.2077
Annualized Sharpe (Rf=0%) 0.4144

Row

Daily Return Statistics

Close
Observations 4922.0000
NAs 1.0000
Minimum -0.1380
Quartile 1 -0.0050
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0065
Maximum 0.1103
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0131
Skewness -0.4030
Kurtosis 11.1864

Downside Risk

Close
Semi Deviation 0.0096
Gain Deviation 0.0091
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0141
Downside Deviation (Rf=0%) 0.0094
Downside Deviation (0%) 0.0094
Maximum Drawdown 0.5973
Historical VaR (95%) -0.0194
Historical ES (95%) -0.0320
Modified VaR (95%) -0.0196
Modified ES (95%) -0.0359
From Trough To Depth Length To Trough Recovery
2007-07-20 2009-03-09 2012-09-13 -0.5973 1300 412 888
2020-02-21 2020-03-23 2020-11-09 -0.4059 183 22 161
2002-03-20 2002-10-09 2003-10-06 -0.3264 391 142 249
2018-08-30 2018-12-24 2019-05-03 -0.2200 169 80 89
2015-03-23 2016-02-11 2016-08-23 -0.2045 360 226 134

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA 0.1 -1.5 -1.2 1.2 0.7 -0.3 -0.8
2002 0 1.2 -0.3 0.3 0.3 -1.8 -1.5 -0.6 1.4 2.1 -0.1 0.5 1.2
2003 0.7 0.9 0.5 0 2 0.7 -0.5 0.5 1.5 0.3 1.3 -0.1 8.1
2004 0.5 1.2 0.6 -0.6 0.4 -0.9 0.4 0.4 1.5 0.1 1.5 -0.2 5.1
2005 0.8 0.8 -0.2 0.7 0.8 -0.2 0 -0.1 0.6 -0.2 1.7 -0.6 4.3
2006 0.5 0.7 0.1 -0.3 1.7 0.3 -0.5 0.5 -0.3 -0.8 -0.1 -0.6 1.1
2007 1.1 -0.6 0.4 0.3 0.4 -0.2 0.3 1.5 1.5 -2.3 0.9 -0.7 2.4
2008 2.6 -2.9 3.2 1.7 0.6 0.2 -0.3 -1.3 0 2.6 -9.4 2.1 -1.7
2009 -2.8 -1.6 1.9 0.5 3.6 0.6 0.2 -2.3 -3 -2.9 1.5 -1.1 -5.4
2010 1.8 1.6 1.1 -2.1 -2.5 -0.3 0.4 3.3 0.3 -0.1 2.1 -0.2 5.5
2011 1.4 -1.8 0.7 0.4 -2.3 1.6 -0.8 -1.4 -2.8 -2.9 -0.3 -0.3 -8.3
2012 1.4 0.8 0.2 0.6 -3 2.7 -0.6 0.5 0 1.9 0.1 1.7 6.4
2013 1 0.2 -0.8 -1.2 -1.2 1 1.8 -0.7 1.1 0.3 -0.3 0.4 1.5
2014 -0.4 0 1 0.2 0 0.5 -0.2 0.3 -1.3 1.2 -1.1 -0.9 -0.8
2015 -1.3 -0.3 -0.4 1 0.3 0.5 0.1 -2.9 0 -0.1 0.9 -0.8 -3
2016 0.3 2.2 0.5 -0.5 0.3 0.2 -0.4 0.1 0.7 -0.9 -0.6 -0.4 1.5
2017 -0.3 1.2 -0.1 0.2 1.2 0.2 0.1 0.4 0.4 0 -0.2 -0.5 2.6
2018 -0.1 -0.9 1.3 0.1 0.8 0.1 -0.4 0.2 -0.3 1.6 0.6 0.9 4
2019 0.4 0.6 1.1 -1 -0.9 0.8 -1.2 0.1 -1.4 1.2 -0.5 0.4 -0.5
2020 -1.9 -1.1 -4.9 -3.1 1 0.1 0 0.9 1 -1 0.9 0.2 -7.6
2021 1.7 2.5 0.2 NA NA NA NA NA NA NA NA NA 4.5

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-07-20  14.8 SPY    121. -6.00e-3  -0.0074  -0.0089  -0.0254   -0.194       NA       NA <NA>     NA    NA       NA
2 2001-07-30  14.8 SPY    121.  3.00e-4   0.016   -0.0106  -0.0325   -0.150       NA       NA <NA>     NA    NA       NA
3 2001-08-02  15.0 SPY    123.  4.10e-3   0.0188  -0.012   -0.0208   -0.152       NA       NA <NA>     NA    NA       NA
4 2001-08-06  14.8 SPY    120. -1.34e-2  -0.0046   0.0105  -0.0471   -0.178       NA       NA <NA>     NA    NA       NA
5 2001-08-08  14.6 SPY    119. -1.85e-2  -0.0293   0.0023  -0.0567   -0.203       NA       NA <NA>     NA    NA       NA
6 2001-08-13  14.6 SPY    119.  3.00e-4  -0.0081  -0.0239  -0.0485   -0.190       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart